Improve estimator efficiency#1
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jsun31 wants to merge 3 commits intoalinasode:mainfrom
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Improve estimator efficiency
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Hey - I needed an implementation of the Hill estimator for work, Googled for it, and your repo came up. Thanks for the code!
I noticed the algorithm ran quite slow, and realized that there can be efficiency improvements:
The a lot of log values can be pre-computed and stored, and numpy opersations can be vectorized. Tested this on some data I had, timing went from ~1 minute to ~0.002 minutes.
Also made minor formatting changes / renamed some variables so the code is more readable.
Also minor bug fix: the original code was dividing by k - 1 instead of k compared to actual Hill estimator formula. (There is some minor error with the formula in the READ.me but I don't know how to edit the latex there, so leaving it as-is.)